Variance risk premiums and predictive power of alternative forward variances in the corn market

摘要: We propose a fear index for corn using the variance swap rate synthesized from out-of-the-money call and put options as measure of implied variance. find negative time-varying risk premiums (realized minus variance) in market 1987 to 2009. Our results contrast with Egelkraut, Garcia, Sherrick (2007), but are line findings Simon (2002). conclude that our model-free estimation procedure contains superior information about future realized relative traditional model-dependent estimating procedures: model by Black (1976) seasonal GARCH(1, 1) forecasted model. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark 32:587–608, 2012